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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 廖咸興 | |
| dc.contributor.author | Wei-Hung Lin | en |
| dc.contributor.author | 林威宏 | zh_TW |
| dc.date.accessioned | 2021-06-13T15:45:08Z | - |
| dc.date.available | 2009-07-02 | |
| dc.date.copyright | 2008-07-07 | |
| dc.date.issued | 2008 | |
| dc.date.submitted | 2008-07-02 | |
| dc.identifier.citation | Chen, R. R., 1996, “Understanding and Managing Interest Rate Risks”, World Scientific, chapter 5.
Collin-Dufresne, P., and Goldstein, R. S., 2001, “Do Credit Spreads Reflect Stationary Leverage Ratios?” Journal of Finance 56(5): 1929-1957. Duffee, G. R., 1999, 'Estimating the Price of Default Risk.' Review of Financial Studies 12: 197-226. Duffie, D., and Lando, D., 2001, 'Term Structures of Credit Spreads with Incomplete Accounting Information.' Econometrica 69(3): 633-644. Eom, Y. H., Helwege, J., and Huang, J. Z., 2004, 'Structural Models of Corporate Bond Pricing: An Empirical Analysis.' Review of Financial Studies, 17(2): 499-544. Elizalde, A., 2005, 'Credit Risk Models II: Structural Models.' Available at www.abelelizalde.com Frey, R., and McNeil, A.J., 2003, 'Dependent Defaults in Models of Portfolio Credit Risk.' Journal of Risk 6(1): 59-92. Giesecke, K., 2004, 'Correlated Default with Incomplete Information.' Journal of Banking and Finance 28: 1521-1545. Giesecke, K., and Goldberg, L. R., 2004, 'Sequential Defaults and Incomplete Information.' Journal of Risk 7: 1-26 Kim, M. A., and Kim, T. S., 2005, 'Default Correlation Dynamics with Business Cycle and Credit Quality Changes.' Journal of Derivatives 13(1): 8-27. Hilberink, B., and Rogers, L. C. G., 2002, 'Optimal Capital Structure and Endogenous Default.' Finance and Stochastics 6: 237-263. Liao, H. H., and Chen, T. K., 2004,'A Cash Flow Based Multi-period Credit Risk Model.' Working paper. Liao, H. H., Su, Y. H., and Chen, T. K.,2007, ' A Cash Flow Based Multi-period Credit Portfolio Model with Dynamic Default Thresholds' Working paper. Merton, R. C., 1974, 'On the Pricing of Corporate Debt: The Risk Structure of Interest Rates.' Journal of Finance 2: 449-471. Sklar, A., 1996, “Random variables, distribution functions, and copulas – a personal look backward and forward”, Distributions with Fixed Marginals and Related Topics, 1-14. Vasicek, O., 1977, 'An equilibrium characterization of term structure.' Journal of Financial Economics 5: 177-188. Yu, F., 2005, 'Accounting transparency and the term structure of credit spreads.' Journal of Financial Economics 75: 53-84. Zhou, C., 2001a, 'An Analysis of Default Correlations and Multiple Defaults.' Review of Financial Studies 14: 555-576. Zhou, C., 2001b, 'The Term Structure of Credit Spreads with Jump Risk.' Journal of Banking and Finance 25: 2015-2040. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/37813 | - |
| dc.description.abstract | 本研究試圖利用Liao, Su, and Chen (2007) 所發展的多期信用風險模型，對市場信用違約交換指數 (CDX) 進行評價。模型以現金流量基礎法衡量公司資產價值，運用狀態變化關聯結構(factor copula)建立公司資產價值與景氣因子的連動性，並進一步引入不完全資訊下，投資人對動態違約門檻的預期，而其最大優點在於能建立動態風險結構與求得內生的回收率(recovery rate)。實證結果顯示了不錯的模型績效。 | zh_TW |
| dc.description.abstract | Employing credit default swap market data, we empirically examine the effectiveness of the credit portfolio model developed by Liao, Su, and Chen (2007) which incorporates a cash flow based model, a conditional independent default approach (the factor Copula), and a dynamic default threshold setting and is able to estimate the multi-period credit risk of a corporate credit portfolio endogenously. Our empirical results show an acceptable performance of the proposed model in default risk pricing. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-13T15:45:08Z (GMT). No. of bitstreams: 1 ntu-97-R95723024-1.pdf: 566295 bytes, checksum: c7064d70c888ae5dae44ce9dd511bdfe (MD5) Previous issue date: 2008 | en |
| dc.description.tableofcontents | CONTENTS
I. Introduction 1 II. The Model 4 A. Single-Firm State-Dependent Free Cash Flow Based Credit Model 4 B. Factor Copula 8 C. The Dynamic Default Threshold Setting and the Derivation of Firm Loss Rate 11 III. Empirical Test of the Model Application 15 A. The Data 16 B. Factor Analysis on Free Cash Flow Data 17 C. Parameter Estimation of the State-Dependent Free Cash Flow Model 17 D. Cash Flow Process 18 E. Estimations of Each Component Firm’s WACC and Constant Growth Rate 18 F. Solve for Market Implied Cash Flow shift 19 G. Dynamic Default Threshold with Stationary Leverage Ratio 20 H. Credit Analysis of the CDX NA.IG.HVOL 20 I. Further Extension 22 IV. Conclusions 23 REFERENCES 24 Appendix I. Selection of Free Cash Flow Definition 38 Appendix II. Factor Analysis of Firms’ Free Cash Flows 40 Appendix III. Maximum Likelihood Algorithm for Factor Generating Formula 43 | |
| dc.language.iso | en | |
| dc.subject | 現金流量基礎法 | zh_TW |
| dc.subject | 動態違約邊界 | zh_TW |
| dc.subject | 因子關聯結構 | zh_TW |
| dc.subject | 多期信用風險模型 | zh_TW |
| dc.subject | Factor Copula | en |
| dc.subject | Cash Flow Based Multi-period Structural Model | en |
| dc.subject | Dynamic Default Threshold | en |
| dc.title | 動態違約門檻下之企業信用組合模型
訂價之實證分析：現金流量基礎法 | zh_TW |
| dc.title | On The Effectiveness of The Credit Portfolio Model
by Liao, Su, and Chen (2007) | en |
| dc.type | Thesis | |
| dc.date.schoolyear | 96-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.oralexamcommittee | 陳聖賢,林丙輝,張焯然 | |
| dc.subject.keyword | 多期信用風險模型,動態違約邊界,現金流量基礎法,因子關聯結構, | zh_TW |
| dc.subject.keyword | Dynamic Default Threshold,Factor Copula,Cash Flow Based Multi-period Structural Model, | en |
| dc.relation.page | 44 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2008-07-02 | |
| dc.contributor.author-college | 管理學院 | zh_TW |
| dc.contributor.author-dept | 財務金融學研究所 | zh_TW |
| 顯示於系所單位： | 財務金融學系 | |
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